Return-based risk computed in the open analytics core (quantlib.risk) from 195 daily returns (full history), annualized at 252/yr. Click any metric for its methodology.
| Ann. Volatility | 4.19% | Sharpe | −0.21 |
| Sortino | −0.28 |
Only 9 paired monthly returns in this window (needs ≥ 12) — beta, correlation and capture are suppressed rather than estimated from too few points.
| Max Drawdown | −3.27% | Ulcer Index | 1.86 |
| MTD | −0.69% | QTD | −0.69% |
| YTD | −0.32% | Since inception | −0.74% |
Price-return basis — dividends aren't included for this symbol yet. Re-pull prices to populate the adjusted close and switch to total return.
| Skewness | −0.34 | Excess Kurtosis | 0.49 |
| Omega (θ=0) | 0.97 | Tail Ratio | 0.74 |
| Gain/Pain | −0.03 | Hit Rate | 55.38% |
| Win/Loss | 0.75 | Upside Potential | 0.50 |
Volatility (annualized %, right) and Sharpe (ratio, left), each over a trailing 63-period window from quantlib.performance.rolling.
| Measure | Hist 95% | Hist 99% | Gauss 95% | Gauss 99% |
|---|---|---|---|---|
| VaR | -0.51% | -0.62% | -0.44% | -0.62% |
| CVaR (ES) | -0.60% | -0.75% | -0.55% | -0.71% |
| VaR (Cornish-Fisher) | — | — | -0.46% | -0.70% |
Signed daily quantiles (a 5% loss is −5%); CVaR ≤ VaR ≤ 0. The Cornish-Fisher row adjusts the Gaussian VaR for skewness and excess kurtosis (fat tails), so it has no historical counterpart.
| Depth | Peak | Trough | Recovery | Peak→Trough | Trough→Recovery |
|---|---|---|---|---|---|
| -3.27% | 2026-02-26 | 2026-07-23 | ongoing | 91 | — |
| -2.23% | 2025-10-27 | 2025-11-05 | 2026-02-05 | 7 | 62 |
| -0.47% | 2025-10-02 | 2025-10-09 | 2025-10-16 | 5 | 5 |
| -0.29% | 2026-02-13 | 2026-02-18 | 2026-02-23 | 2 | 3 |
| -0.29% | 2025-10-21 | 2025-10-23 | 2025-10-27 | 2 | 2 |
| -0.04% | 2026-02-23 | 2026-02-24 | 2026-02-26 | 1 | 2 |
Each peak-to-recovery underwater episode, worst depth first (top 6). Lengths are in trading periods; an ongoing episode has not yet reclaimed its prior peak. The deepest episode equals the maximum drawdown above.
